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Hedging the smirk

8 references·7 citing·30 second hop

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References

1973Theory of Rational Option Pricing8,060 cited
2005Theory of rational option pricing7,161 cited
1976Option pricing when underlying stock returns are discontinuous5,965 cited
1976The pricing of commodity contracts2,859 cited
1994Implied Binomial Trees1,749 cited
1987Efficient Analytic Approximation of American Option Values1,128 cited
1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
1991The Crash of '87: Was It Expected? The Evidence from Options Markets214 cited

Cited by

2012Is warrant really a derivative? Evidence from the Chinese warrant market32 cited
2009Model risk adjusted hedge ratios27 cited
2022Empirical Option Pricing Models25 cited
2012Empirical performance of a spline-based implied volatility surface25 cited
2008Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?25 cited
2011Hedging under model misspecification: All risk factors are equal, but some are more equal than others …22 cited
2023Delta hedging bitcoin options with a smile20 cited

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